An integration test against fractional alternatives is suggested for univariate time series. The new test is a completely regression-based, lag augmented version of the Lagrange multiplier (LM) test by Robinson (1991, Journal of Econometrics 47, 67 84). Our main contributions, however, are the following. First, we let the short memory component follow a general linear process. Second, the innovations driving this process are martingale differences with eventual conditional heteroskedasticity that is accounted for by means of White s standard errors. Third, we assume the number of lags to grow with the sample size, thus approximating the general linear process. Under these assumptions, limiting normality of the test statistic is retained. The usefulness of the asymptotic results for finite samples is established in Monte Carlo experiments. In particular, several strategies of model selection are studied.An earlier version of this paper was presented at the URCT Conference in Faro, Portugal, 2005, and at the Econometrics Seminar of the University of Z rich. We are in particular grateful to Peter Robinson and Michael Wolf for helpful comments. Moreover, we thank two anonymous referees for reports that greatly helped to improve the paper.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 24 (2008) Issue (Month): 01 (February) Pages: 176-215 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Contact details of provider: Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK Fax: +44 (0)1223 325150 Email: Web page: http://journals.cambridge.org/jid_ECT
For technical questions regarding this item, or to correct its listing, contact: (Mike Eden).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)